What can I do if I feel I'm being harassed by my supervisor because of depression and anxiety?

I have suffered from mild depression and anxiety for several years. I have worked for my employer for 8 years and during that time I have seen counselors and have gone on and off anxiety medication. In August 2019, I lost my keys to my office and the supervisors didn't seem to have an issue with it and I was allowed to borrow the main keys at work. Later on in the year, my depression was getting worse, but I was still going to work everyday and on time and doing my job, I may just have been grumpier or quieter than normal. In February 2020 my boss gave me information to a therapist that the company uses for free sessions. That same week, they suddenly decided to give me a formal written warning for losing my keys. One month later, I was given my performance review and it was a negative review, also mentioning the fact that I had lost my keys. Over my entire tenure at this job, every year I have been given positive performance reviews and a 3%-10% annual raise and this month I was not given a raise at all. I was told the reason for not getting a raise was because of the "market value" of the job. My salary is far below market value and have ran comps in the area for my supervisor to show that I am below any range thats given, so it's laughable that they would use that as a reason. It's hard not to correlate this with the fact that I was open about my depression with my boss because I have a track record over the last 8 years that I have been a good employee until the last few months. Do I have any rights here?